Dynamic convexification within nested Benders decomposition using Lagrangian relaxation: An application to the strategic bidding problem
详细信息 查看全文
- 作者：Gregory Steeger ; Steffen Rebennack ; srebenna@mines.edu" class="auth_mail" title="E-mail the corresponding author
- 关键词：Lagrangian relaxation ; Mixed-integer linear programming ; Benders decomposition ; Hydroelectric scheduling ; Strategic bidding problem ; Stochastic dual dynamic programming
- 刊名：European Journal of Operational Research
- 出版年：2017
- 出版时间：1 March 2017
- 年：2017
- 卷：257
- 期：2
- 页码：669-686
- 全文大小：931 K
文摘
- •
We propose the pairing of Lagrangian relaxation with Benders decomposition.
- •
The developed algorithm is a dynamic convexification scheme.
- •
The method yields stronger bounds than any LP relaxation.
- •
We apply the algorithm towards a single-price maker strategic bidding problem.
- •
We provide case studies for El Salvador, Honduras, and Nicaragua.